I have followed the instruction on the \"GMP Install Instruction for Windows Platform\". I could build a 32bit version of GMP which can be used for Visual Studio.
I have tried the following. The library can be built successfully.
./configure --prefix=/d/Temp/gmp-5.0.1-install --build=x86_64-w64-mingw32 --host=x86_64-w64-mingw32 --disable-static --enable-shared